Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 15 (3D) Dec 16 (4D) Dec 17 (5D) Dec 18 (6D) Dec 19 (7D) Dec 22 (10D) Dec 23 (11D) Dec 24 (12D) Dec 25 (13D) Dec 26 (14D) Jan 02 (21D) Jan 09 (28D) Jan 16 (35D) Jan 23 (42D) Jan 30 (49D) Feb 06 (56D) Feb 13 (63D) Feb 20 (70D) Feb 27 (77D) Mar 06 (84D) Mar 13 (91D) Mar 20 (98D) Mar 27 (105D) Apr 03 (112D) Apr 10 (119D) Apr 17 (126D) Apr 24 (133D) May 01 (140D) May 08 (147D) May 15 (154D) May 22 (161D) May 29 (168D) Jun 05 (175D) Jun 12 (182D) Jun 19 (189D) Jun 26 (196D)
lower 672.00 670.491 669.161 667.958 666.852 663.942 663.072 662.241 661.444 660.677 655.939 651.944 648.425 645.243 642.317 639.594 637.036 634.617 632.316 630.118 628.009 625.98 624.022 622.128 620.293 618.511 616.778 615.09 613.443 611.836 610.264 608.727 607.221 605.744 604.296 602.875
upper 691.52 693.029 694.359 695.562 696.668 699.578 700.448 701.279 702.076 702.843 707.581 711.576 715.095 718.277 721.203 723.926 726.484 728.903 731.204 733.402 735.511 737.54 739.498 741.392 743.227 745.009 746.742 748.43 750.077 751.684 753.256 754.793 756.299 757.776 759.224 760.645
expected move 9.76 11.269 12.599 13.802 14.908 17.818 18.688 19.519 20.316 21.083 25.821 29.816 33.335 36.517 39.443 42.166 44.724 47.143 49.444 51.642 53.751 55.78 57.738 59.632 61.467 63.249 64.982 66.67 68.317 69.924 71.496 73.033 74.539 76.016 77.464 78.885
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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